Systemic Risk

This paper examines antifragility in cryptocurrency ecosystems through a layered analysis of on-chain infrastructure, off-chain intermediaries, user activity, legal interactions, and abnormal transaction amounts. We focus on how large or unusual transfers propagate through layers, influencing liquidity, volatility, and systemic risk. Diagrams illustrate interaction pathways, and digital thread concepts highlight opportunities for continuous monitoring and antifragile strategies that leverage volatility and abnormal flows.

This paper examines antifragility in cryptocurrency ecosystems through a layered analysis of on-chain infrastructure, off-chain intermediaries, user activity, legal interactions, and abnormal transaction amounts. We focus on how large or unusual transfers propagate through layers, influencing liquidity, volatility, and systemic risk. Diagrams illustrate interaction pathways, and digital thread concepts highlight opportunities for continuous monitoring and antifragile strategies that leverage volatility and abnormal flows.

The paper reports results of non-parametric analysis of peanut, corn, and cotton yield distributions by the ElNino Southern Oscillation (ENSO) phases in the Southeastern U.S. For validation purposes, the historical yield data is complemented by a set of simulated peanut yields generated using daily weather data. The hypothesis, justified by the observed South-Eastern climate differences and research on ENSO cycles and planting dates, is that different climate conditions during ENSO cycles translate into different yield distributions and, therefore, insurance premiums (loss to coverage ratios). Kernel density estimates of historical county yield data show consistent patterns in the actuarially fair rate schedules grouped by ENSO phases and geographical areas. In particular, corn and cotton yield insurance premiums appear to be the most dependent on the ENSO phases and are the highest, regardless of coverage, during ElNino and the lowest during LaNina. Peanut premiums are higher durin...

Post-tax-sharing reform in China, fiscal imbalances drove local governments to borrow heavily. This study uses fixed effects and mediation effect models to show that Chinese urban banks are creating less liquidity because of the increasing local government debt, which crowds out financial resources. The mechanism test indicates that the expanding government debt encourages banks to enter the interbank business, suppressing liquidity creation. Additionally, the suppression effect is strong in urban commercial banks with government majority shareholders and non-listed banks. The findings suggest that local government debt regulation must be improved to reduce its negative impact on liquidity creation.

This study applied supervised machine learning algorithms to macro-fiscal panel data from 20 EU member states (2000-2024) to model and predict fiscal stress episodes in the Eurozone. Conventional frameworks for assessing public debt sustainability often rely on static thresholds and linear dynamics, limiting their ability to capture the complex, non-linear interactions in fiscal data. To address this, we implemented logistic regression, support vector machines, and XGBoost classifiers using core fiscal indicators such as debt-to-GDP ratio, primary balance, GDP growth, interest rates, and inflation. The models were evaluated using time-aware cross-validation, with XGBoost delivering the highest predictive accuracy but showing some signs of overfitting. We highlighted the interpretability of logistic regression and applied SHAP values to enhance transparency in the tree-based models. While limited by using annual data, we discuss the potential value of incorporating real-time or high-frequency fiscal indicators. Our results underscore the practical relevance of AI-enhanced early warning systems for fiscal surveillance and support their integration into institutional monitoring frameworks.

In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the financial or (re)insuance market by a bipartite graph. Using Pareto-tailed losses and multivariate regular variation we obtain asymptotic results for conditional risk measures based on the Value-at-Risk and the Conditional Tail Expectation. These results allow us to assess the influence of an individual institution on the systemic or market risk and vice versa through a collection of conditional risk measures. For large markets Poisson approximations of the relevant constants are provided. Differences of the conditional risk measures for an underlying homogeneous and inhomogeneous random graph are illustrated by simulations.

Oil, due to the dependence that the country has on it across all its subsystems including the economic system, planning system, administrative system, etc., is one of the most challenging issues in Iran’s economy. Therefore, analyzing oil market developments is highly important for planning purposes. This research examines and analyzes oil prices as one of the most important factors affecting Iran’s economy. The main objective is to provide a comprehensive analysis of recent global oil market events, forecast future price trends, and outline scenarios using a combination of technical and fundamental analysis methods. In this regard, while reviewing theoretical foundations and research background, the study investigates factors affecting oil supply and demand, geopolitical developments, and the role of new technologies in energy markets. The results of technical analysis and Elliott Waves indicate an upcoming upward wave in global oil prices. However, from a fundamental analysis perspective, future oil price trends will depend on the balance between supply and demand forces in this market. Based on the probability of occurrence for each mentioned factor, three scenarios have been outlined for future global oil prices, with projected price ranges between 50 (in the bearish scenario) to 120 (in the bullish scenario).

This white paper examines the structural cognitive challenges faced by the West in understanding Chinese civilization. Western frameworks-rooted in linear historical views, institutional analogies, and universalist assumptions-have repeatedly led to systemic misjudgments. Chinese civilization is not merely a cultural phenomenon or ethnic identity but a structural civilization, evolved over millennia, with order and power at its core. Through mechanisms of language, family, institutions, and emotional control, it has produced a distinctive social ecology and methods of external diffusion. Relying solely on economic reciprocity, institutional transplantation, or regime change logic prevents the West from grasping its structural risks. This paper introduces the Civilization Structure Analysis (CSA), the Civilization Immunity System (CIS), methods of language and narrative detoxification, and a Cultural Structural Penetration Risk Assessment framework.

This essay proposes a symbolic framework for understanding contemporary crises through the metaphor of vibration, positioning society as a collective instrument with four essential strings: economy, technology, culture, and education. Drawing on string theory and oscillatory dynamics, the text explores how emotional resonance, systemic fragility, and symbolic infrastructure shape economic behavior and societal cohesion. Culture is reframed as a vector of adaptation, capable of transforming dissonance into meaning and catalyzing distributed collective intelligence. The essay advocates for an integrative approach to harmonizing these dimensions, suggesting that only through resonance can we interpret the score of the future with coherence and depth.

This paper advances a deliberately provocative, evidence-grounded thesis: when exponentially advancing technologies-especially artificial intelligence (AI), robotics, brain-computer interfaces (BCI), and quantum computing-collide with socioeconomic systems that adapt primarily linearly, the outcome is not gradual adjustment but a phase transition. We argue that between 2027 and 2032, 60-70% of present jobs could be automated or transformed beyond recognition, and by 2040 near-total automation is plausible. Because capitalism relies on labor-wage-consumption feedback loops, the large-scale disappearance of wage labor implies systemic breakdown of capitalism in its current form. We develop (i) an expanded technology and hardware analysis (compute, chips, memory, interconnect, robotics price curves, BCI, energy constraints, quantum trajectories), (ii) sector-by-sector projections to 2030/2040, (iii) a spectrum of decision-dependent "alternative realities", (iv) extensive critiques with rebuttals, (v) falsifiable indicators and risk metrics, and (vi) a transition toolkit (AI dividend/UBI+, robot/data taxes, governance, communication, psychological support) to avoid chaos and to reframe meaning beyond "job".

Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk. In this paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to capture these stylized facts, we develop a model of international equity returns using a multivariate system of jump-diffusion processes where the arrival of jumps is simultaneous across assets. Second, we determine an investor's optimal portfolio for this model of returns. Third, we show how one can estimate the model using the method of moments. Finally, we illustrate our portfolio optimization and estimation procedure by analyzing portfolio choice across a riskless asset, the US equity index, and five international indexes. Our main finding is that, while systemic risk affects the allocation of wealth between the riskless and risky assets, it has a small effect on the composition of the portfolio of only-risky assets, and reduces marginally the gains to a US investor from international diversification: for an investor with a relative risk aversion of 3 and a horizon of one year, the certainty-equivalent cost of ignoring systemic risk is of the order $1 for every $1000 of initial investment. These results are robust to whether the international indexes are for developed or emerging countries, to constraints on borrowing and shortselling, and to reasonable deviations in the value of the parameters around their point estimates; the cost increases with the investment horizon and decreases with risk aversion.

Civilization Under Examination offers a systematic framework for diagnosing the structural health of human civilizations. Drawing on the metaphor of the human body, the book develops an eight-system model—including information, resources, cultural absorption, reproduction, institutions, values, immunity, and cooperation—to evaluate the strengths and weaknesses of different societies. It introduces a set of metrics such as the Functional Fabric Index (FFI), Cancerous Structure Index (CSI), Civilization Health Score (CHS), and Human Civilization Contribution Index (HCCI) to measure the balance between constructive and destructive forces in civilization. Combining historical analysis, contemporary case studies, and future-oriented projections, this work provides both a critical lens on existing political-cultural systems and a blueprint for sustainable, resilient, and free civilizations.

Training is organized and systematically conducted process of active interaction, where the teacher's leading activity stimulates and directs the training activity and the trainees' behaviour with a view to achieving certain goals. It is bilateral processof teaching and acquiring knowledge, establishing skills and turning them into habits The goal of the present study is to reveal the essence of the reasons that lead to cadets' drop out of the All-Army Faculty of National Military University and to propose actions for their impact reduction.

The goal of the present study is to reveal the essence of the reasons that lead to cadets' drop out of the All-Army Faculty of National Military University and to propose actions for their impact reduction. In order to achieve one of the sub-goals of the present study, namely to uncover the essence of the reasons that lead to drop off of cadets from the All-Army Faculty, it is necessary to take into consideration the trainees' opinion, to outline the achievements and the disadvantages of the overall organization of living and studying in the National Military University from their point of view.

Various Internet-based technologies have been used to offer online customer service. Common to these technologies is their ability to support interactive communication in exchanges with customers. This paper examines the impacts of communications interactivity on customer decision behaviors. We propose that interactivity can improve customer satisfaction and trust through perceptions of responsiveness and mutuality, which further increase customer intentions to buy. We are in the process of developing, operationalizing, and testing a model of interactivity impacts to examine these relationships. The research uses experiments to collect data and PLS to analyze the data.

This white paper, The Individual Civilization Health Check Model v1.0, develops a novel framework for diagnosing the structural health of individuals within the broader civilizational system. Extending from the Nine Civilizational Axioms, particularly the Fourth Axiom: Structural Necessity, it introduces six indices — FFI, CSI, CHS, EOI, RUI, and HCCI — to evaluate whether an individual functions as a healthy structural cell or a cancerous agent of civilization. Through theoretical foundations and case studies, the model demonstrates how structural diagnostics can identify both risks and contributions. The work aims to provide a diagnostic lens for scholars, policymakers, and AI governance researchers to strengthen humanity’s civilizational immunity against systemic collapse.

Dependencies between financial asset-returns have significantly increased during recent time periods in almost all international markets. This phenomenon is a direct consequence of globalization and relaxed market regulation in finance and insurance industry. Especially during bear markets many empirical surveys like Karolyi and Stulz, Longin and Solnik, Campbell, Koedijk and Kofman show evidence of increasing dependencies between financial asset-returns. When investors and/or risk managers would have a better knowledge of the dependence during crises periods, they are able to make better allocation decisions and they can get a clearer view of the risks they are bearing. Estimating dependence between risky asset returns is the cornerstone of portfolio theory and many other finance applications. Common dependence measures such as Pearson’s correlation coefficient are not always suited for a proper understanding of dependencies in financial markets. In particular, dependencies between...

A large body of literature grants a central role to the credit-to-GDP ratio as being informative of cumulative vulnerabilities that jeopardize financial stability. It is argued that the dynamics of this variable, in particular its accelerations, can help anticipate banking crises and thus early warning systems often monitor its evolution. We explore this claim by using the so-called `1-filter which estimates the trend component of a series as a piecewise linear function of time. Turning points to this trend are very easy to identify and, when applied to the credit-to-GDP ratio, mark the beginning on regimes that may eventually lead to banking crises. Using a panel of 95 countries over a 50-year period ending in 2011, we are able to characterize such turning points and the dynamics of the credit-to-GDP ratio in the pre-crisis regime. We find an enormous degree of heterogeneity in the behavior of the credit-to-GDP ratio before the outbreak of a banking crisis, to the extent that this ...

In this work, we develop the Tsallis entropy approach for examining the cross-shareholding network of companies traded on the Italian stock market. In such a network, the nodes represent the companies, and the links represent the ownership. Within this context, we introduce the out-degree of the nodes -which represents the diversification -and the in-degree of them -capturing the integration. Diversification and integration allow a clear description of the industrial structure formed by the considered companies. The stochastic dependence of diversification and integration is modelled through copulas. We argue that copulas are well suited for modelling the joint distribution. The analysis of the stochastic dependence between integration and diversification by means of the Tsallis entropy gives a crucial information on the reaction of the market structure to the external shocks, -on the basis of some relevant cases of dependence between the considered variables. In this respect, the considered entropy framework provides insights on the relationship between in-degree and out-degree dependence structure and market polarisation or fairness. Moreover, the interpretation of the results in the light of the Tsallis entropy parameter gives relevant suggestions for policymakers who aim at shaping the industrial context for having high polarisation or fair joint distribution of diversification and integration. Furthermore, a discussion of possible parametrisations of the in-degree and out-degree marginal distribution, -by means of power laws or exponential functions, -is also carried out. An empirical experiment on a large dataset of Italian companies validates the theoretical framework.

To capture systemic risk related to network structures, this paper introduces a measure that complements direct exposures with common exposures, as well as compares these to each other. Trying to address the interconnected nature of financial systems, researchers have recently proposed a range of approaches for assessing network structures. Much of the focus is on direct exposures or market-based estimated networks, yet little attention has been given to the multivariate nature of systemic risk, indirect exposures and overlapping portfolios. In this regard, we rely on correlation network models that tap into the multivariate network structure, as a viable means to assess common exposures and complement direct linkages. Using BIS data, we compare correlation networks with direct exposure networks based upon conventional network measures, as well as we provide an approach to aggregate these two components for a more encompassing measure of interconnectedness.

An innovative approach to quantify interest rate sensitivities of emerging market corporates is proposed. Our focus is centered at price sensitivity of modeled investment grade and high yield portfolios to changes in the present value of modeled portfolios composed of safe-haven assets, which define risk-free interest rates. Our methodology is based on blended yield indexes. Modeled investment horizons are always kept above one year thus allowing to derive empirical implications for practical strategies of interest rate risk management in the banking book. As our study spans over the period 2002 -2015, it covers interest rate sensitivity of assets under the pre-crisis, crisis, and post-crisis phases of the economic cycles. We demonstrate that the emerging market corporate bonds both, investment grade and high yield types, depending on the phase of a business cycle exhibit diverse regimes of sensitivity to interest rate changes. We observe switching from a direct positive sensitivity under the normal pre-crisis market conditions to an inverted negative sensitivity during distressed turmoil of the recent financial crisis, and than back to direct positive but weaker sensitivity under new normal post-crisis conjuncture. Our unusual blended yield-based approach allows us to present theoretical explanations of such phenomena from economics point of view and helps us to solve an old controversy regarding positive or negative responses of credit spreads to interest rates. We present numerical quantification of sensitivities, which corroborate with our conclusion that hedging of interest rate risk ought to be a dynamic process linked to the phases of business cycles as we evidence a binary-like behavior of interest rate sensitivities along the economic time. Our findings allow banks and financial institutions for approaching downside risk management and optimizing economic capital under Basel III regulatory capital rules.

This ANPR revisits the special definition of Qualified Mortgages purchased by Fannie Mae and Freddie Mac (the so-called "GSE Patch"). The GSE Patch is due to expire on January 10, 2021. On the surface, the issue is whether the GSE Patch should be renewed or scrapped. The real issue, however, is whether any definition of a QM should impose a debt-to-income (DTI cap). Currently, the Bureau's definition of a General QM has a 43 percent DTI cap, while its other definitions of QMs do not. As a result, QMs purchased by the GSEs are free from a CFPBmandated DTI limit, yet are insulated from legal exposure. A coalition of industry representatives and some consumer groups are arguing for repeal of the GSE Patch and elimination of the 43 percent DTI cap from the definition of a General QM. 2 Some of the coalition members would lift the DTI cap in toto, while other members would only eliminate it for prime and near-prime loans. 3 Removing the DTI cap from the General QM would effectively leave no mandatory DTI cap in place for any mortgages, including both QM and non-QM loans. 1 The comments in this letter are based on a forthcoming law review article titled The Macroprudential Implications of the Qualified Mortgage Debate, J. L. & CONTEMP. PROBS. (forthcoming 2020), , coauthored with economist Susan M. Wachter from The Wharton School.

We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. This propagation takes the form of a threshold regression in which a regime change occurs if credit conditions cross a critical threshold. The in-sample and out-of-sample forecasting performances are encouraging. In particular, the out-of-sample forecasting results suggest that the model based on the credit-regime-switching approach outperforms the benchmark models based on a linear regression and signal extraction approach across all forecasting horizons and all criteria considered.

General concept of systemically corrupted foreign policy means long term accomplishing geo-strategic and geo-economic interests in the function of the biggest global capital in the world . This highest and the most sophisticated type of unconventional political corruption has strong impact on the international economic and political relations, international and regional security. Systemically corrupted foreign policy is performed through the most perfidious methods, on the level of continued foreign policies. When the political, diplomatic and economic measures can not give results, as an ultima ratio -the military intervention is used in countries that are tens of thousands kilometers away from the country aggressor. Due to the above mentioned reasons, there has not been individual criminal responsibility for the killed civilians. This type of interventions eliminates the subjective criminal-law responsibility, because these activities, foreseen as criminal offences against the humanity and the international law are not treated as international criminal offences, but as a legitimate manner of conducting politics. In that context, also, special, hybrid war is used by the great powers for breaking the resistance of disobedient governments in smaller countries, which have themselves fallen into a condition where rule of law is absent, corruption is rampant and lack of respect for human rights and freedom is present. Of course, all this is done in those smaller countries with a lot less resources and not always by using extreme and/or militant means. In the context of the most immanent functions of the science, such as discovery, explanation and prognosis, in the paper have been explained thesis about the concrete interests of the great powers in the Western Balkans and especially in the Republic of Macedonia, as well as forecasts about its realization in further phases.

This paper measures individual bank's impact on banking systemic risk and examines the effect of individual bank's capital buffer and leverage to bank's systemic risk impact in Indonesia during 2010-2014. Using Merton's distance-to-default to measure systemic risk, the study shows a significant negative relationship between bank's capital buffer and systemic risk. High capital buffer tends to lowering bank's impact on systemic risk. Bank's leverage level also influences its contribution to systemic risk, even though the impact is much lower compared to that of capital buffer impact. Makalah ini mengukur dampak sistemik dari setiap bank serta menguji pengaruh capital buffer and leverage bank terhadap risiko sistemik perbankan di Indonesia untuk periode 2010-2014. Dengan metode Merton's distance-to-default sebagai pengukuran risiko sistemik, hasil riset menunjukan tingkat capital buffer bank secara signifikan berpengaruh negatif terhadap risiko sistemik perbankan Indonesia. Semakin tinggi capital buffer sebuah bank, semakin rendah dampak sistemik bank tersebut. Tingkat leverage bank memiliki pengaruh yang signifikan juga terhadap dampak sistemik sebuah bank, walau pengaruhnya jauh di bawah capital buffer.

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable "automatic" detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

Studies in order to pursue kinetics and mechanism of chemical reactions are a vital component of chemical literature. SATL literature is still not available for promoting this vital aspect of chemistry teaching. A lesson pertaining to this important issue has been developed and various parameters of kinetic studies are explained therein.

The Jeffrey Epstein case provides the most comprehensively documented example of systematic institutional protection networks in modern history, with mathematical certainty revealing coordinated failures across law enforcement, judiciary, media, and financial systems that enabled decades of child sex trafficking. The evidence demonstrates protection mechanisms operating at 97.5% effectiveness-protecting Epstein from consequences for all but 2.5% of identified victims while providing a 92%

currently at the Naha Branch) *** Financial System and Bank Examination Department (currently at the Personnel and Corporate Affairs Department) Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments. Views expressed are those of authors and do not necessarily reflect those of the Bank. If you have any comment or question on the working paper series, please contact each author.

This paper investigates the economic agent behavior when managing a bank in order to avoid a failure when exposed with the financial systemic risk using a lab experiment. We use Chen et al. 's (Oper Res 64:1089-1108, 2016) model to construct the decision problem in the experiment. The model assumes that the systemic risk occurs through two channels: the liquidity channel and the network channel. The former occurs from the external investment shock which is endogenous in the balance sheet. The latter is a function of other banks' clearing repayment; which is also caused by the external investment shock. Given these, there are two intuitive optimal strategies in order to avoid a failure: imposing a higher external investment interest than that of its risk and avoiding the financial interactions with the high-risky banks. We use students and bankers as our subjects to check the validity of Chen et al.'s optimal strategy given their respective background. Our results show that both students and bankers partially follow Chen et al.'s intuitive optimal strategy: the first strategy. Only the student group is found to follow the second optimal intuitive strategy of Chen et al. In addition, both subject groups have a different behavior in order to avoid the failure.

In 2010, Korea’s authorities announced foreign exchange-related macroprudential measures (MPMs) aimed at building resilience against external financial shocks. These measures have greatly contributed to limit systemic risk by curbing excessive capital inflows. Twelve years have passed since the global financial crisis started and ten years after the introduction of Korea’s FX-related macro-prudential policy measures. Accordingly, this study check the performance and effectiveness of these policies and discuss how to improve macroprudential measures in response to emerging external risks.

Quantitative risk analysis (QRA) is a systematic approach for evaluating likelihood, consequences, and risk of adverse events. QRA based on event (ETA) and fault tree analyses (FTA) employs two basic assumptions. The first assumption is related to likelihood values of input events, and the second assumption is regarding interdependence among the events (for ETA) or basic events (for FTA). Traditionally, FTA and ETA both use crisp probabilities; however, to deal with uncertainties, the probability distributions of input event likelihoods are assumed. These probability distributions are often hard to come by and even if available, they are subject to incompleteness (partial ignorance) and imprecision. Furthermore, both FTA and ETA assume that events (or basic events) are independent. In practice, these two assumptions are often unrealistic. This article focuses on handling uncertainty in a QRA framework of a process system. Fuzzy set theory and evidence theory are used to describe the uncertainties in the input event likelihoods. A method based on a dependency coefficient is used to express interdependencies of events (or basic events) in ETA and FTA. To demonstrate the approach, two case studies are discussed.

This paper introduces a proposal for money market fund (MMF) reform that could mitigate systemic risks arising from these funds by protecting shareholders, such as retail investors, who do not redeem quickly from distressed funds. Our proposal would require that a small fraction of each MMF investor's recent balances, called the "minimum balance at risk" (MBR), be demarcated to absorb losses if the fund is liquidated. Most regular transactions in the fund would be unaffected, but redemptions of the MBR would be delayed for 30 days. A key feature of the proposal is that large redemptions would subordinate a portion of an investor's MBR, creating a disincentive to redeem if the fund is likely to have losses. In normal times, when the risk of MMF losses is remote, subordination would have little effect on incentives. We use empirical evidence, including new data on MMF losses from the U.S. Treasury and the Securities and Exchange Commission, to calibrate an MBR rule that would reduce the vulnerability of MMFs to runs and protect investors who do not redeem quickly in crises.

Downloadable! El repaso de la literatura especializada confirma el creciente interés por la llamada economía del conocimiento y su mercado de trabajo asociado. La concentración en las principales regiones urbanas de colectivos específicos de trabajadores, como profesionales ...

I estimate a measure of systemic risk, namely Systemic Expected Shortfall (SES),
as the aggregate amount of capital that financial institutions might need when the
f
inancial system is undercapitalized. Each financial institution’s SES can be mea
sured as a combination of market capitalization, appropriate capital adequacy ratios
and total amount of liabilities. Therefore, I derive (i) the appropriate leverage point
that allows financial intermediaries to keep in check managerial rent-seeking and
risk-shifting behaviors exacerbated during a systemic crisis; (ii) I empirically show
the ability of the Marginal Expected Shortfall (MES) and insolvency risk measures
to estimate the percentage variation of market capitalization and liabilities experi
enced by financial intermediaries during the recent financial crisis; (iii) I identify
the most systemically important financial institutions (SIFIs), at the end of June
2007 and the beginning of September 2011. (iv) I derive several specifications of
SES and compare them with SRISK.

Risk is a word used by all of us but which we interpret differently . Standard dictionary definitions of 'risk' speak to: "[e]xposure to the chance of injury or loss; a hazard or dangerous chance" (Macquarie Dictionary); "hazard, chance of bad consequences, exposure to mischance" (Oxford Dictionary); "… a person, thing or factor likely to cause loss or danger" (Chambers Dictionary). Apgar (2006, p. 11) defines risk as "the possibility of a loss or reversal -or gain or advance -different from what we expect from a decision or an activity." Dean ( ) suggests these common definitions such as these are too limiting as risk considerations are constantly expanding and becoming more complex. He argues that: "[r]isk is a polyvalent and polysemous vocabulary and set of practices" (2006, p. 166). In other words, 'risk' has multiple meanings, of differing value and uses, which have changed throughout history, and continue to change. Ewald (1999) reminds us of the moral, political, judicial, social and epistemological elements of risk, with risk being defined and constituted within the constraints of the times and contexts to which it refers. Risk assessment depends on "who you are" and what you do, as Cleary and Malleret (2007) demonstrate through lists of divergently dissimilar 'top ten' global risks as determined by three major international companies.

His dissertation topic is 'Statistical Methods of Strategic Portfolio Management for Fund of Funds (FoFs)'. In addition, he is FoF manager for the Real Estate Strategy and Portfolio Solutions Group at Credit Suisse Asset Management Immobilien KAG in Frankfurt, Germany. At Credit Suisse, he is responsible for the quantitative aspects of FoF portfolio management and real estate derivatives, as well as for direct and indirect real estate investment strategies.

Various mathematical frameworks play an essential role in understanding the economic systems and the emergence of crises in them. Understanding the relation between the structure of connections between the system's constituents and the emergence of a crisis is of great importance. In this paper, we propose a novel method for the inference of economic systems' structures based on complex networks theory utilizing the time series of prices. Our network is obtained from the correlation matrix between the time series of companies' prices by imposing a threshold on the values of the correlation coefficients. The optimal value of the threshold is determined by comparing the spectral properties of the threshold network and the correlation matrix. We analyze the community structure of the obtained networks and the relation between communities' inter and intra-connectivity as indicators of systemic risk. Our results show how an economic system's behavior is related to its structure and how the crisis is reflected in changes in the structure. We show how regulation and deregulation affect the structure of the system. We demonstrate that our method can identify high systemic risks and measure the impact of the actions taken to increase the system's stability.

Various mathematical frameworks play an essential role in understanding the economic systems and the emergence of crises in them. Understanding the relation between the structure of connections between the system’s constituents and the emergence of a crisis is of great importance. In this paper, we propose a novel method for the inference of economic systems’ structures based on complex networks theory utilizing the time series of prices. Our network is obtained from the correlation matrix between the time series of companies’ prices by imposing a threshold on the values of the correlation coefficients. The optimal value of the threshold is determined by comparing the spectral properties of the threshold network and the correlation matrix. We analyze the community structure of the obtained networks and the relation between communities’ inter and intra-connectivity as indicators of systemic risk. Our results show how an economic system’s behavior is related to its structure and how t...

This study is the first that investigates the value relevance of SFAS 71 within the banking sector, especially relating to the role of the new accounting standards in reducing the problem of information asymmetry due to bank asset opacity. Using samples consisting of 41 listed banking firms from 2016 to 2020, this study shows that the empirical relationship between the initial implementation of SFAS 71 and bank equity value is inverse U-shaped or concave and that bank size has a negative moderated effect on the relationship between the initial implementation of SFAS 71 and bank equity value. These findings indicate that: (i) at low levels of retained earnings adjustments due to the initial implementation of SFAS 71, the disclosure effect brought by the new accounting standards has a positive relationship with bank equity valuation, (ii) at higher levels of adjustments beyond those previously anticipated by capital market investors, the substantial effect of the new accounting standards has a negative relationship with bank equity valuation, and (iii) larger banks have more opaque assets and therefore suffer more significant valuation discounts due to the substance effect.

This essay will examine the macroprudential regulatory intervention of the United States and Canada in response to the financial crisis of 2008, it will examine the similarities of actions taken by these two countries, and it will seek to ultimately demonstrate that Canada was more effective than the US in achieving financial stability because of Canada’s differing political structure and Canada’s regulatory philosophy compared to that of the United States of America. Whilst the US congress faced constant gridlock and lobbying from financial institutions, Canada’s parliament faced no such issue. Whilst the US’ regulatory philosophy was fragmented, Canada’s was unified, with deeply rooted effective regulatory mechanisms and powerful regulators, whilst the US (lobbied by large firms) opted for an approach to regulation that was far more fragmented, and far less powerful than Canada’s. Fundamentally, Canda’s political system and regulatory philosophy were critical to it’s successful recovery following the 2008 financial crisis.